lgarch: Simulation and Estimation of Log-GARCH Models

Simulation and estimation of univariate and multivariate log-GARCH models. The main functions of the package are: lgarchSim(), mlgarchSim(), lgarch() and mlgarch(). The first two functions simulate from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimate a univariate and multivariate log-GARCH model, respectively.

Package details

AuthorGenaro Sucarrat
MaintainerGenaro Sucarrat <[email protected]>
URL http://www.sucarrat.net/
Package repositoryView on CRAN
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lgarch documentation built on May 29, 2017, 9:08 a.m.